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libmsci.

Adaptive Gaussian Filtering

Adaptive Gaussian Filtering is a simple and powerful implementation of
variable bandwidth kernel estimators for classification, PDF estimation
and interpolation. The library incorporates several innovations to produce
one of the fastest and most accurate supervised statistical classification algorithms
in the world. These include:

matching kernel width to sample density quickly and accurately

restricting calculations to a set of k-nearest-neighbours found in O(n) time

generating a pre-trained model by searching for the class-borders with guaranteed, superlinear convergence